V-Lab: Lancashire Holdings Ltd MF2-GARCH Volatility Analysis

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V-Lab

Lancashire Holdings Ltd MF2-GARCH Volatility Analysis

Volatility Prediction for Tuesday, May 21st, 2024:25.88% (+0.48%)

Analysis last updated: Tuesday, May 21, 2024 at 10:40 PM UTC

Date Range:

from

to

6M ·

1Y ·

2Y ·

5Y ·

10Y ·

Parameter Estimates

	param	t-stat
$m$	111
$α$	0.0505	14.26
$β$	0.8068	101.47
$γ$	0.0831	12.02
$λ_{1}$	0.0120	1.85
$λ_{2}$	0.0176	3.61
$λ_{3}$	0.9780	137.73

Estimation Period:
Dec 12, 2005 to May 17, 2024

News Impact Curve

Impact of return on volatility tomorrow

Volatility Forecasts

Volatility Forecasts